There already is a one world government, George Bush is President of the World. And the Capital of the World is New York.
My only knowledge of this kind of theory has the conspirators being the super-rich leftists and socialists, not Jews or Catholics.
It seems fairly clear by now that none of us Europeans have heard of this particular theory.
However, a good number of us, as this thread also proves, are aware of the notion amongst certain strands of American Protestantism that the Common Market/EEC/European Community is the 10 horned Beast of Revelation, which is to be led at some point in the future by the Antichrist. We’re also aware that these and similar strands have often foretold some sort of imminent armageddon in the form of a nuclear war. As a result, but particularly during the tensions of the 1980s when Ronald Reagan was identified with such thinking, some Europeans have expressed the worry that a prophecy-believing US President might be tempted to hurry matters along by starting such a conflict. But against the Soviet Union, rather than Europe.
I suppose it’s just possible that refracted back through a belief that Europe is the Beast, this might be distortable into what the OP has heard. But that’d be a theory held about Europe in the US rather than a theory held in Europe.
Of course, it must be noted that such worries weren’t restricted to Europeans. Paul Boyer records similar worries about Presidential temptations being held in the US by, amongst others, the New York Times, “one hundred prominent religious leaders” and Hunter S. Thompson (When Time Shall Be No More, Belknap, 1992, p143).
Ireland calling…
Never heard that one before 
I don’t think so. You’re overestimating the knowledge the average european (or at least the average frenchman) will have about the american society. From my own experience, few people are aware of the importance of religious fundamentalism in the US (though they might have heard about some weird US preacher once in a while on the TV. Even less will be aware of the US specific conspiracy theories like the obsession about the OWG or black helicopters.
The perception the average joe has of the US is probably even more limited in scope and caricatural than most people here seem to assume. Of course, it depends on whom you socialize with. You won’t get the same speech about the US at a former political science students’ meeting and at the corner of the street cafe.
Most people aren’t interested in hearing anything which contradict their preconceived opinion/belief, anyway (this last comment coming from a discussion I just had precisely at the corner of the street’s cafe).